Just thought I would add:
I have searched the website and can't find a simple installation guide. The downloadable chm files don't work ( I just get page not found )
--> I believe what you are experiencing is Windows Security on the .chm file; to resolve it right click the .chm, select properties, and then Unblock.
The problem is when I start the WWW Proxy Server I can not access the internet. I have put in the policies "Everyone" and no restrictions just to see if it would work.
--> Confirm there is not port conflict on the WWW Proxy. In the image below the bottom pane shows your desired results for the binding, and the top pane indicates whether they are actually bound.

- I use static IPs so DHCP is not necessary
--> Using the "Assumed by ip address" authentication may be an option - you could also lock down a bit more with MAC address policies. You can find that in the Users tab in WinGate, and in your policies the level of authentication would need to be set to "User may be assumed"
- Block certain users for access certain sites
--> The main point to remember is when you create policies:
1. The policy with the most access will override the policy with the least access.
2. Within the Advanced tab of a users/group policy, the Filters are OR'd, and the criterions with Filters are AND'd.
3. Depending on the context of your network, the PureSight plugin may automate the access control:

Block MSN messenger from certain users
--> When LAN Clients are using the WWW Proxy Connection method / intercepts, then MSN Messenger will try to access a HTTP Resource named gateway.dll. When using the NAT or WinGate Internet Client (WGIC) connection method they will try to access a server port of TCP 1863. NAT and WGIC connections are controlled by the Extended Networking Service and Winsock Redirector Service respectively